摘要
通过构造一个等价于原约束问题一阶KKT条件的非光滑方程组,提出一类新的QPfree方法.在迭代中采用了无罚函数和无滤子线搜索方法,在此基础上,通过牛顿-拟牛顿迭代得到满足KKT最优条件的解,并证明该算法是可实现、具有全局收敛性.另外,在较弱条件下可以证明该方法具有超线性收敛性.
In this paper, we propose a new QP-free infeasible method based on the solution of nonsmooth equations which are obtained by the multipliers and the piecewise linear relationship NCP function for the KKT first-order optimality conditions. We do not use a penalty function and a filter on line search. Locally, each iteration of this method can be viewed as a perturbation of the mixed Newton-quasi Newton iteration on both primal and dual variables for the solution of KKT optimality conditions. This method is implementable and globally convergent. Without the second order correction we prove that the method has superlinear convergence rate under some mild conditions.
出处
《运筹学学报》
CSCD
北大核心
2015年第3期48-56,共9页
Operations Research Transactions
基金
supported by National Science Foundation of China(Nos.11371281,11471102)
